I'd to active feature usage reporting in several assemblies in my product. All of the assemblies are recognised as dependencies in SmartAssembly, and are embedded in the exe. Do I have to put each assembly through SmartAssembly?

You have to process all assemblies for Feature Usage Reporting. But I believe if you merge assemblies, the FUR plumbing will be done for you in the main assembly build if you add the ReportUsageAttribute to the methods in the DLL.